Wrapping with burlap will help to reduce wind-burn of evergreen shrubs and small trees, and you can also attach burlap to fence-posts to create a wind-break. To additionally protect plants that don't like having their roots frozen solid I would suggest you apply a deep mulch around the plants, and lay cut evergreen branches over the top, while the soil is damp and before the ground freezes. Small plants that prefer to be kept dry can be buried in a pile of sand or gravel over winter. The best insulation is snow, but I have learned not to rely on it!
